求解非线性项目组合选择问题的多种线性化技术比较研究
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- 英文论文题名：Comparing Multiple Linearization Techniques of Solving Nonlinear Project Portfolio Selection Problem with Interdependency
- 论文作者：李星梅 ; 张又中 ; 和远舰 ; 乞建勋
- 英文论文作者：LI Xing-mei ; ZHANG You-zhong ; HE Yuan-jian ; QI Jian-xun ; School of Economics and Management ; North China Electric Power University
- 年：2016
- 作者机构：华北电力大学经济与管理学院;
- 论文关键词：项目管理 ; 项目组合选择 ; 线性化技术 ; 相互作用关系
- 英文论文关键词：project management ; project portfolio selection problem ; linearization technique ; project interdependency
- 会议召开时间：2016-11-12
- 会议录名称：第十八届中国管理科学学术年会论文集
- 英文会议录名称：Proceedings of the 18th Chinese Annual Conference on Management Science
- 语种：中文
- 分类号：O221
- 学会代码：ZHYJ
- 会议名称：第十八届中国管理科学学术年会
- 会议地点：中国陕西西安
- 主办单位：中国优选法统筹法与经济数学研究会、西安交通大学、中国科学院科技战略咨询研究院、《中国管理科学》编辑部
- 学会名称：中国优选法统筹法与经济数学研究会
- 页数：6
- 文件大小：456k
- 原文格式：O
- 会议级别：全国
摘要
本文通过现有的线性化技术,将项目组合选择中存在的非线性规划问题转换成等价的整线性规划模型,并利用数值实验比较这些转换后的模型求解效率。为此,本文将现有线性化技术应用于考虑了项目间相互作用关系的多准则项目组合选择问题上,给出了三个等价模型。在此基础上通过五个类别的数值实验分析,较为客观的比较了每个模型的效率。最后根据程序结果得出现有线性化技术的优缺点,以便更好的指导多准则项目组合选择问题的求解。
The purpose of this paper is to reformulate the nonlinear programming model into several equivalent linear integer programming ones by utilizing existed linearization techniques,and efficiency of each method is compared by a well-designed numerical experiment.Existed linearization techniques have been investigated and applied into a multi-criteria project portfolio selection problem(MCPPSP) considering interdependency,where three equivalent models are introduced.Thus,by well-designed numerical experiment with 5 categories of instances,the efficiency of each method can be objectively known.Finally,conclusion about the advantages and deficiencies these linearization techniques can be drawn,and some advisable hints about how to handle MCPPSP are given out.
The purpose of this paper is to reformulate the nonlinear programming model into several equivalent linear integer programming ones by utilizing existed linearization techniques,and efficiency of each method is compared by a well-designed numerical experiment.Existed linearization techniques have been investigated and applied into a multi-criteria project portfolio selection problem(MCPPSP) considering interdependency,where three equivalent models are introduced.Thus,by well-designed numerical experiment with 5 categories of instances,the efficiency of each method can be objectively known.Finally,conclusion about the advantages and deficiencies these linearization techniques can be drawn,and some advisable hints about how to handle MCPPSP are given out.
引文
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[18]Li Xingmei,Huang Y H,Fang S C,et al.Reformulations for project portfolio selection problem considering interdependence and cardinality[J].Pacific Journal of Optimization.2016,12(2):355-366.
[2]Markowitz H.Portfolio selection[J].The Journal of Finance,1952,7(1):77-91.
[3]Lorie J H.Savage L J.Three problems in rationing capital[J].The Journal of Business,1955,28(4):229-239.
[4]Weingartner H M.Capital budgeting of interrelated projects:Survey and synthesis[J].Management Science,1966,12(7):485-516.
[5]Carraway R L,Schmidt R L.An improved discrete dynamic programming algorithm for allocating resources among interdependent projects[J].Management Science,1991,37(9):1195-1200.
[6]Hu Jian.,Homem-de-Mello T,Mehrotra S.Stochastically weighted stochastic dominance concepts with an application in capital budgeting[J].European Journal of Operational Research,2014,232(3):572-583.
[7]Abbassi M,Ashrafi M.Tashnizi E S.Selecting balanced portfolios of R&D projects with interdependencies:A cross-entropy based methodology[J].Technovation,2014,34(1):54-63.
[8]Hassanzadeh F.Nemati H,Sun Minghe.Robust optimization for interactive multiobjective programming with imprecise information applied to R&D project portfolio selection[J].European Journal of Operational Research,2014,238(1):41-53.
[9]杨颖.复杂产品开发项目组合的动态决策方法研究[D].合肥:合肥工业大学2011.
[10]安会刚,郭鹏,马贤娣.考虑相互影响的R8LD项目组合选择模型研究[J].科学学与科学技术管理,2007,28(3):10-13.
[11]Santhanam R.Kyparisis G J.A decision model for interdependent information system project selection[J].European Journal of Operational Research,1996,89(2):380-399.
[12]Shakhsi-Niaei M,Iranmanesh S H.Torabi S.Optimal planning of oil and gas development projects considering long-term production and transmission[J].Computers and Chemical Engineering,2014,65:67-80.
[13]Yu L.Wang Shouyang.,Wen Fenghua.et al.Genetic algorithm-based multi-criteria project portfolio selection[J].Annals of Operations Research,2010,197(1),71-86.
[14]Shakhsi-Niaei M.Shiripour M.Shakouri GH.et al.Application of genetic and differential evolution algorithms on selecting portfolios of projects with consideration of interactions and budgetary segmentation[J].International Journal of Operational Research,2015,22(1):106.
[15]Balas E,Mazzola J B,Nonlinear 0-1 programming:Ⅰ.Linearization techniques[J].Mathematical Programming.1984,30(1):1-21.
[16]Watters L J.Reduction of integer polynomial programming problems to zero-one linear programming Problems[J].Operations Research,1967,15(6):1171-1174.
[17]Glover F,Woolsey E.Technical note-Converting the 0-1 polynomial programming Problem to a 0-1 Linear Program[J].Operations Research,1974,22(1):180-182.
[18]Li Xingmei,Huang Y H,Fang S C,et al.Reformulations for project portfolio selection problem considering interdependence and cardinality[J].Pacific Journal of Optimization.2016,12(2):355-366.